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RE: st: tscollap - converting monthly data to annual averages


From   Jan S <jan.schoeps@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: tscollap - converting monthly data to annual averages
Date   Thu, 26 Jul 2012 14:13:39 +0000

Out of curiosity: how do you want to map monthly returns to annual returns with collapsing the sheet? As a side note: You may want to consider calculating annual returns for each month. That would give you the advantage of keeping your other data and analyze e.g. the possibility of a January-effect later on.



> From: njcoxstata@gmail.com
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: tscollap - converting monthly data to annual averages
> Date: Thu, 26 Jul 2012 15:02:34 +0100
> 
> -mofd()- doesn't map monthly to annual dates. See -help dates and  
> times-.
> 
> Nick
> 
> On 26 Jul 2012, at 14:07, David Ashcraft <ashcraftd@rocketmail.com>  
> wrote:
> 
> > I did manage to collapse the data from monthly to annual  but in the  
> > process lost individual firms. I have used the following commands
> >
> > gen dm = mofd(date1)
> > format dm %ty
> > collapse rp rm, by(dm)
> >
> > Lets rephrase my question: I want to collapse the panel data by each  
> > individual firms. What is the best procedure for me.
> > Regards
> >
> > David
> >
> >
> > ----- Original Message -----
> > From: David Ashcraft <ashcraftd@rocketmail.com>
> > To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
> > Cc:
> > Sent: Thursday, July 26, 2012 3:48:49 PM
> > Subject: Re: st: tscollap - converting monthly data to annual averages
> >
> > I got it done.
> > Thanks
> >
> >
> > ----- Original Message -----
> > From: David Ashcraft <ashcraftd@rocketmail.com>
> > To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
> > Cc:
> > Sent: Thursday, July 26, 2012 3:43:09 PM
> > Subject: st: tscollap - converting monthly data to annual averages
> >
> > I am trying to convert the monthly return of 29 firms into annual  
> > means from Jan2000 to May2012. I have tried to use the tscollap  
> > command. I get the following results:
> >
> > tscollap rp rm, to(y)
> >
> > Converting from M to Y
> >
> > unknown egen function filter()
> > r(133);
> >
> > I just have downloaded the tscollap, It should be most updated. Even  
> > if it worked, I don'e know whether tscollap will take care of  
> > individual firms identified by id
> >
> > Alternatively, I can use collapse command, however collaps does not  
> > take into consideration the time. I have looked into several posts  
> > but could not find a reasonable solution in my particular case.
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